Stochastic differential equations. An introduction with applications.
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Publication:5966640
zbMath0747.60052MaRDI QIDQ5966640
Publication date: 18 September 1992
Published in: Universitext (Search for Journal in Brave)
stochastic optimal control; uniform integrability; martingale problem; martingale convergence; introduction to stochastic differential equations
60-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory
60G35: Signal detection and filtering (aspects of stochastic processes)
93E20: Optimal stochastic control
60J60: Diffusion processes
60Hxx: Stochastic analysis
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